What edition (e.g. Serious or Pro) of TheSkyX are you using, and what is its exact version and build? What OS?

For recent builds, there are no known problems with either method you mentioned for importing comet data. As you may have read (such as here), the web-import feature was broken in earlier builds when the Minor Planet Center switched their service from HTTP to secure HTTPS.

Might it be that comets have been importing, but you're having trouble finding them on the Sky Chart? Open the Input > Small Solar System Bodies window and, from the Comets tab, check the Number of comets value indicated. If it is greater than zero, then you've successfully imported some. If it's zero, then please describe what happens when you try to import, such as by using the Observable button. If you receive an error message, what is its wording?

If there's a particular comet you're trying to import, what is its name?

UPDATE: You can also use the Edit > Find window's Advanced tab to look for presently-loaded comets under Solar System Objects / Small Solar System Bodies / Comets.

For your build number (which is currently the latest for TheSkyX Serious Astronomer Edition), you will need to follow the URL-editing instructions in the post to which I already linked in my prior reply, but again is here.

This isn't necessary for builds 11355 and later, but that hasn't yet reached the Serious edition.

I see from your registrations that you have TheSkyX Professional Edition for Windows. If it didn't already have the updated MPC URLs, then you have a build earlier than 11355. In that case, when you run the Help > Check for Updates command, you'll either be told that a newer update is available, or that a newer daily build is available.

My recommendation would be to download and install the latest daily build, which is more than two years newer than the currently-available latest update for the Windows version, build 10305. If you'd like to see the (incomplete) listing of the intervening enhancements and bug fixes, see the Daily Build Change Log. All of the hundreds of items listed there are newer than the latest update.

*UPDATE: Sorry, I thought the previous post was Martin replying to questions I asked him. In your (Don's) case, as I've already said, TheSkyX Serious Astronomer Edition does not yet have an update available with the revised MPC URLs, so you must change them manually.